An Evolutionary Optimization Approach to Risk Parity Portfolio Selection
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References listed on IDEAS
- Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Ledoit, Olivier & Wolf, Michael, 2003.
"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,"
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- Ledoit, Olivier & Wolf, Michael, 2000. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS 10089, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- repec:dau:papers:123456789/4688 is not listed on IDEAS
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Cited by:
- Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2014-12-29 (Computational Economics)
- NEP-EVO-2014-12-29 (Evolutionary Economics)
- NEP-RMG-2014-12-29 (Risk Management)
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